Structural error correction models: A system method for linear rational expectations models and an application to an exchange rate model

Jaebeom Kim, Masao Ogaki, Minseok Yang

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long-run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in which the speed of adjustment coefficient governs the half-life of the real exchange rate. Compared to single equation methods, the system method gives smaller half-life estimates with sharper standard errors.

本文言語English
ページ(範囲)2057-2075
ページ数19
ジャーナルJournal of Money, Credit and Banking
39
8
DOI
出版ステータスPublished - 2007 12 1
外部発表はい

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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